Journal of Big Data

Table 1 Initial parameter estimates for the multi-regime filtering algorithm

From: A computing platform for pairs-trading online implementation via a blended Kalman-HMM filtering approach

\(\nu \)	\(\zeta \)	\(\xi \)	\(\pi _{1}\)
0.9682	0.1225	0.2596	0.5

The same values are used for all regimes (e.g., \(\nu =\nu _1=\nu _2\), etc.)

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